Option data and modeling BSM implied volatility
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References listed on IDEAS
- Mark Britten-Jones & Anthony Neuberger, 2000. "Option Prices, Implied Price Processes, and Stochastic Volatility," Journal of Finance, American Finance Association, vol. 55(2), pages 839-866, April.
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"The Finite Moment Log Stable Process and Option Pricing,"
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- Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA.
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- Corrado, Charles J. & Miller, Thomas Jr., 1996. "A note on a simple, accurate formula to compute implied standard deviations," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 595-603, April.
- M. Benko & M. Fengler & W. Härdle & M. Kopa, 2007. "On extracting information implied in options," Computational Statistics, Springer, vol. 22(4), pages 543-553, December.
- Steven P. Feinstein, 1988. "A source of unbiased implied volatility forecasts," FRB Atlanta Working Paper 88-9, Federal Reserve Bank of Atlanta.
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Cited by:
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
- Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
More about this item
Keywords
Implied volatility;JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2011-01-16 (All new papers)
- NEP-FMK-2011-01-16 (Financial Markets)
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